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|Title: ||Multivariate extremality measure|
|Author(s): ||Laniado, Henry|
Lillo, Rosa E.
|Publisher: ||Universidad Carlos III de Madrid. Departamento de Estadística|
|Issued date: ||Jun-2010|
|Abstract: ||We propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction. We establish the most relevant properties of this measure and provide the theoretical basis for its nonparametric estimation. We include two applications in Finance: a multivariate Value at Risk (VaR) with level sets constructed through extremality and a portfolio selection strategy based on the order induced by extremality.|
|Serie / Nº.: ||UC3M Working papers. Statistics and Econometrics|
Value at risk
|Appears in Collections:||DES - Working Papers. Statistics and Econometrics. WS|
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